Monday, June 8, 2020

New project: IRR model

I'm going to start a new project. I'm not especially happy with the interest rate risk model I'm using at work. There's a lot of hand waving going on, and I'm not convinced that prices on assets are altogether accurate.

One problem that I have is that I don't have a bloomberg terminal. I'll have to get specific requests for month-end data from our accounting vendor. Another issue is conceptual. I've got data sets for assets and liabilities. I need to store functions and transformed data somewhere. This means SQL, so I'm going to need to create a dummy project with simplified balance sheet.

I've got a further problem, which is how to express my functions. I need to determine if and how to fit quantlib into SQL.

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New project: IRR model

I'm going to start a new project. I'm not especially happy with the interest rate risk model I'm using at work. There's a lo...